Mesh created with connected vertices don't create correct mesh
Yes; I would highly advise against modeling in this way. It would be much better to use extrude operations (E key) to create your mesh.

If you wish to continue with your current mesh, two ways I would recommend trying to fix it is by first removing any doubles (Spacebar > Search "Remove Doubles"), and then recalculating the normals in the 3D View Tools menu:



If you can attach a Blend file, I could take a look at your mesh and see what else may be able to be fixed, but I would honestly recommend starting from scratch on this one and modeling with better practices.

EDIT:

Here is an example of how you might start building a mesh with extrusion and loop tools, although for a car, I would highly recommend using Background Images of your car and start working your way around that. Here is an excellent resource to get you started in that workflow: http://darkscarab.com/view/43